Same here, every Coliseum Bass I've owned (four) did the same thing, and the Coliseum 880 was the loudest. Concert Bass did it, too, but wasn't as loud as the others.
Recently I picked up an Acoustic 360 for $200 and a manual I found for it includes the following:
"POWER ON/OFF: This turns the whole system on (see hook-up procedure). If everything is working, there might be a loud thump when you turn the amp on. DON'T PANIC. This is normal."